Course syllabus

Finansiell statistik
Financial Statistics

FMS161, 7,5 credits, A (Second Cycle)

Valid for: 2015/16
Decided by: Education Board B
Date of Decision: 2015-04-16

General Information

Elective for: F5, F5-fm, I4, I5-fir, Pi4-fm
Language of instruction: The course will be given in English on demand


The course should be regarded as the statistical part of a course package also including TEK180 Financial Valuation and Risk Management and FMS170 Valuation of Derivative Assets. Its purpose is to give the student tools for constructing models for risk valuation and pricing, based on data.

Learning outcomes

Knowledge and understanding
For a passing grade the student must

Competences and skills
For a passing grade the student must


The course deals with model building and estimation in non-linear dynamic stochastic models for financial systems. The models can have continuous or discrete time and the model building concerns determining the model structure as well as estimating possible parameters. Common model classes are, e.g., GARCH models with discrete time or models based on stochastic differential equations in continuous time. The course participants will also meet statistical methods, such as Maximum-likelihood and (generalised) moment methods for parameter estimation, kernel estimation techniques, non-linear filters for filtering and prediction, and particle filter methods.

The course also discusses prediction, optimization, and risk evaluation for systems based on such descriptions.

Examination details

Grading scale: TH
Assessment: Written report and oral presentation of a larger project and compulsory computer exercises.

Code: 0115. Name: Project Work.
Credits: 4,5. Grading scale: TH. Assessment: Written and oral project presentation
Code: 0215. Name: Laboratory Part 1.
Credits: 1,5. Grading scale: UG. Assessment: Computer exercise 1 and 2
Code: 0315. Name: Laboratory Part 2.
Credits: 1,5. Grading scale: UG. Assessment: Computer exercise 3 and 4


Admission requirements:

Required prior knowledge: MIO140 Financial Management and preferrably also one or several of FMS051 Time series analysis, TEK180 Financial Valuation and Risk Management, and FMS170 Valuation of Derivative Assets.
The number of participants is limited to: No
The course overlaps following course/s: MASM18

Reading list

Contact and other information

Director of studies: Studierektor Anna Lindgren,
Course homepage:
Further information: The course is also given at the faculty of science with the code MASM18.